Total variation distance between a jump-equation and its Gaussian approximation

12/14/2022
by   Vlad Bally, et al.
0

We deal with stochastic differential equations with jumps. In order to obtain an accurate approximation scheme, it is usual to replace the "small jumps" by a Brownian motion. In this paper, we prove that for every fixed time t, the approximate random variable X^ε_t converges to the original random variable X_t in total variation distance and we estimate the error. We also give an estimate of the distance between the densities of the laws of the two random variables. These are done by using some integration by parts techniques in Malliavin calculus.

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